This paper shows that aggregation over heterogeneous firms, which are subject to temporary technology shocks, will lead to long memory and nonlinearities. We start from microfoundations, using standard RBC model of monopolistic competition. We then derive the fundamental intertemporal...

This paper shows that the behaviour of an otherwise conventional model of real business cycles (RBCs) in which heterogeneous individual firms are subject to temporary technology shocks will be characterised by long memory and nonlinearity. We start from microfoundations, using a standard RBC...

Hypergeometric functions are a generalization of exponential functions. They are explicit, computable functions that can also be manipulated analytically. The functions and series we use in quantitative economics are all special cases of them. In this paper, a unified approach to hypergeometric...

We introduce firm heterogeneity into the standard monopolistically competitive real business cycle (RBC) model. The fundamental equilibrium path is derived and the time-series properties of aggregate GDP are studied analytically. Although firms' productivities are subject to temporary shocks,...

Let Xt be a discrete multivariate autoregressive process of order 1. The paper derives the joint moment generating function (mgf) of the two quadratic forms that are used to define statistics relating to the parameters of this process. The formula is then specialized to some cases of interest,...

In time series containing an autoregressive unit root, almost all known statistics can be described in terms of two Wiener functionals. It is therefore crucial for us to know how these functionals are jointly distributed in terms of explicit formulae that can be manipulated analytically, that do...